13
H index
15
i10 index
601
Citations
University of Michigan | 13 H index 15 i10 index 601 Citations RESEARCH PRODUCTION: 21 Articles 3 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Paolo Pasquariello. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 5 |
Real Estate Economics | 2 |
Journal of Financial and Quantitative Analysis | 2 |
Journal of Financial Markets | 2 |
Year | Title of citing document |
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2020 | Information Asymmetry and Insurance in Africa. (2020). Asongu, Simplice ; Odhiambo, Nicholas M. In: Research Africa Network Working Papers. RePEc:abh:wpaper:20/057. Full description at Econpapers || Download paper |
2020 | Information Asymmetry and Insurance in Africa. (2020). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers of the African Governance and Development Institute.. RePEc:agd:wpaper:20/057. Full description at Econpapers || Download paper |
2020 | Information asymmetry and the choice between rights issue and private placement of equity. (2020). Sony, Bipin ; Bhaduri, Saumitra ; Bhadurib, Saumitra. In: BASE University Working Papers. RePEc:alj:wpaper:01/2020. Full description at Econpapers || Download paper |
2022 | How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:2004.01624. Full description at Econpapers || Download paper |
2022 | Cross impact in derivative markets. (2021). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi. In: Papers. RePEc:arx:papers:2102.02834. Full description at Econpapers || Download paper |
2021 | Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128. Full description at Econpapers || Download paper |
2021 | A characterisation of cross-impact kernels. (2021). Tomas, Mehdi ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:2107.08684. Full description at Econpapers || Download paper |
2021 | Multidimensional Kyle-Back model with a risk averse informed trader. (2021). Ekren, Ibrahim ; Bose, Shreya. In: Papers. RePEc:arx:papers:2111.01957. Full description at Econpapers || Download paper |
2022 | Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213. Full description at Econpapers || Download paper |
2021 | A composite indicator of sovereign bond market liquidity in the euro area. (2021). Taboga, Marco ; Poli, Riccardo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_663_21. Full description at Econpapers || Download paper |
2021 | The probability of informed trading and mergers and acquisitions. (2021). To, Thomas ; Shan, Yaowen ; Lu, Meiting ; Bugeja, Martin. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:1:p:169-203. Full description at Econpapers || Download paper |
2022 | Information asymmetry and capital structure: Evidence from the Chinese stock market. (2022). Gong, Yujing ; Ho, Kungcheng. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:84-102. Full description at Econpapers || Download paper |
2020 | Venturing beyond the IPO: Financing of Newly Public Firms by Venture Capitalists. (2020). Lowry, Michelle ; Iliev, Peter. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1527-1577. Full description at Econpapers || Download paper |
2021 | Information Asymmetry, Mispricing, and Security Issuance. (2021). Lee, Ji Yoon. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3401-3446. Full description at Econpapers || Download paper |
2020 | Local House Price Diffusion. (2020). Cohen, Jeffrey ; Zabel, Jeffrey. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:3:p:710-743. Full description at Econpapers || Download paper |
2021 | Local house price comovements. (2021). Füss, Roland ; Stehle, Simon ; Fuss, Roland ; ROLAND FÜSS, ; Fischer, Marcel. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s1:p:169-198. Full description at Econpapers || Download paper |
2020 | Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871. Full description at Econpapers || Download paper |
2022 | Informed trading and the dynamics of client-dealer connections in corporate bond markets. (2020). Pinter, Gabor ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0895. Full description at Econpapers || Download paper |
2022 | Size discount and size penalty: trading costs in bond markets. (2022). Zou, Junyuan ; Wang, Chaojun ; Pinter, Gabor. In: Bank of England working papers. RePEc:boe:boeewp:0970. Full description at Econpapers || Download paper |
2021 | Age and COVID-19 mortality: A comparison of Gompertz doubling time across countries and causes of death. (2021). Sasson, Isaac. In: Demographic Research. RePEc:dem:demres:v:44:y:2021:i:16. Full description at Econpapers || Download paper |
2020 | The Dynamic Impact of FX Interventions on Financial Markets. (2020). Rieth, Malte ; Menkhoff, Lukas ; Stohr, Tobias. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1854. Full description at Econpapers || Download paper |
2020 | Carbon risk and corporate capital structure. (2020). Phan, Hieu V ; Nguyen, Justin Hung. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301577. Full description at Econpapers || Download paper |
2021 | Relative bond-stock liquidity and capital structure choices. (2021). faff, robert ; Alpert, Karen ; Nguyen, Trang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921001474. Full description at Econpapers || Download paper |
2021 | Media connection and return comovement. (2021). Tu, Jun ; Guo, LI ; Chen, Zilin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:130:y:2021:i:c:s0165188921001263. Full description at Econpapers || Download paper |
2022 | The Euro Area credit crunch conundrum: Was it demand or supply driven?. (2022). Serati, Massimiliano ; Venegoni, Andrea ; Pacicco, Fausto. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002698. Full description at Econpapers || Download paper |
2020 | A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage. (2020). Gradojevic, Nikola ; Genay, Ramazan ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:57-73. Full description at Econpapers || Download paper |
2020 | Loss aversion and market crashes. (2020). Ouzan, Samuel. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:70-86. Full description at Econpapers || Download paper |
2021 | Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; GUPTA, RANGAN ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291. Full description at Econpapers || Download paper |
2020 | Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348. Full description at Econpapers || Download paper |
2020 | Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229. Full description at Econpapers || Download paper |
2020 | Stock market illiquidity, bargaining power and the cost of borrowing. (2020). Muckley, Cal ; Gong, DI ; Chen, Jiayuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:181-206. Full description at Econpapers || Download paper |
2021 | Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis. (2021). Tsagkanos, Athanasios ; Floros, Christos ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000491. Full description at Econpapers || Download paper |
2021 | A network perspective of comovement and structural change: Evidence from the Chinese stock market. (2021). Deng, Yunke ; Huang, Chuangxia ; Yang, Xin ; Cao, Jinde. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001125. Full description at Econpapers || Download paper |
2020 | Monetary policy rate expectation and energy prices during the FOMC announcement period. (2020). Ki, Byoung ; Jang, Hyeonung. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305725. Full description at Econpapers || Download paper |
2021 | Do economic news releases affect tail risk? Evidence from an emerging market. (2021). Siriopoulos, Costas ; Tsagkanos, Athanasios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030297x. Full description at Econpapers || Download paper |
2021 | From banking integration to housing market integration - Evidence from the comovement of U.S. Metropolitan House Prices. (2021). Choi, Chi-Young ; Hansz, Andrew J. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000437. Full description at Econpapers || Download paper |
2021 | Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818. Full description at Econpapers || Download paper |
2021 | Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000715. Full description at Econpapers || Download paper |
2020 | Dividend policy and corporate investment under information shocks. (2020). Harakeh, Mostafa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300688. Full description at Econpapers || Download paper |
2020 | The more the Merrier? The reaction of euro area stock markets to new members. (2020). Hartwell, Christopher ; Celov, Dmitrij ; Grigaliuniene, Zana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300792. Full description at Econpapers || Download paper |
2021 | Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536. Full description at Econpapers || Download paper |
2021 | On the Economic fundamentals behind the Dynamic Equicorrelations among Asset classes: Global evidence from Equities, Real estate, and Commodities. (2021). Yfanti, S ; Karanasos, M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000111. Full description at Econpapers || Download paper |
2020 | The spillover effects of MD&A disclosures for real investment: The role of industry competition. (2020). Mangen, Claudine ; Durnev, Art. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:70:y:2020:i:1:s016541012030001x. Full description at Econpapers || Download paper |
2020 | Are banking shocks contagious? Evidence from the eurozone. (2020). Lagoa-Varela, Dolores ; Flavin, Thomas J ; Dungey, Mardi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618301572. Full description at Econpapers || Download paper |
2020 | On the term structure of liquidity in the European sovereign bond market. (2020). Papavassiliou, Vassilios ; Osullivan, Conall. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426620300455. Full description at Econpapers || Download paper |
2020 | Measuring multi-product banks’ market power using the Lerner index. (2020). Shaffer, Sherrill ; Spierdijk, Laura. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301254. Full description at Econpapers || Download paper |
2021 | Macroeconomic news announcements and market efficiency: Evidence from the U.S. Treasury market. (2021). Lo, Ingrid ; Lin, Hai ; Qiao, Rui. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002119. Full description at Econpapers || Download paper |
2022 | Does quantitative easing affect market liquidity?. (2022). Gillan, James M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621003009. Full description at Econpapers || Download paper |
2020 | Why does public news augment information asymmetries?. (2020). Crego, Julio A. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:72-89. Full description at Econpapers || Download paper |
2020 | The importance of being special: Repo markets during the crisis. (2020). Maddaloni, Angela ; Corradin, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:392-429. Full description at Econpapers || Download paper |
2021 | Asymmetric information risk in FX markets. (2021). Ranaldo, Angelo ; Somogyi, Fabricius. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:391-411. Full description at Econpapers || Download paper |
2021 | Informed trading in government bond markets. (2021). Czech, Robert ; Lou, Dong ; Huang, Shiyang ; Wang, Tianyu. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1253-1274. Full description at Econpapers || Download paper |
2021 | The impact of US monetary policy on managed exchange rates and currency peg regimes. (2021). Roevekamp, Ingmar . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302229. Full description at Econpapers || Download paper |
2021 | Stock market volatility and jumps in times of uncertainty. (2021). Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Megaritis, Anastasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560621000048. Full description at Econpapers || Download paper |
2020 | Information Asymmetry and firm value: Is Vietnam different?. (2020). Huynh, Toan ; Wu, Junjie ; Duc, Toan Luu ; Duong, An Trong. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s1703494919300866. Full description at Econpapers || Download paper |
2021 | Measuring liquidity risk effects on carry trades across currencies and regimes. (2021). Blenman, Lloyd P ; Abankwa, Samuel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000074. Full description at Econpapers || Download paper |
2021 | Fixed asset revaluation and external financing during the financial crisis: Evidence from Korea. (2021). Kim, Youngjun ; Chung, Ju Ryum ; Cho, Hyungjin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100024x. Full description at Econpapers || Download paper |
2020 | Interindustry volatility spillover effects in China’s stock market. (2020). Jin, Xue ; Liu, Zhe ; Yin, Kedong . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316632. Full description at Econpapers || Download paper |
2021 | Foreign exchange market efficiency and the global financial crisis: Fundamental versus technical information. (2021). Yamani, Ehab. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:74-89. Full description at Econpapers || Download paper |
2021 | Geopolitical risk and volatility spillovers in oil and stock markets. (2021). Smales, Lee. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:358-366. Full description at Econpapers || Download paper |
2020 | Are there any other safe haven assets? Evidence for “exotic” and alternative assets. (2020). Kenourgios, Dimitris ; Dimitriou, Dimitrios ; Simos, Theodore. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:614-628. Full description at Econpapers || Download paper |
2021 | Information dissemination across global markets during the spread of COVID-19 pandemic. (2021). Pandey, Ashish ; Tripathi, Abhinava. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:103-115. Full description at Econpapers || Download paper |
2022 | The dynamics and determinants of liquidity connectedness across financial asset markets. (2022). Goh, Kim-Leng ; Lim, Kian-Ping ; Liew, Ping-Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:77:y:2022:i:c:p:341-358. Full description at Econpapers || Download paper |
2020 | Measuring the multi-faceted dimension of liquidity in financial markets: A literature review. (2020). Diaz, Antonio ; Escribano, Ana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918311024. Full description at Econpapers || Download paper |
2021 | Real estate risk measurement and early warning based on PSO-SVM. (2021). Song, Xiaobo ; Yang, Zaoli ; Chen, Mengyao ; Zhou, Wenwen. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:77:y:2021:i:c:s0038012120308387. Full description at Econpapers || Download paper |
2020 | Information Asymmetry and Insurance in Africa. (2020). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers. RePEc:exs:wpaper:20/057. Full description at Econpapers || Download paper |
2020 | Price Discovery in the U.S. Treasury Cash Market: On Principal Trading Firms and Dealers. (2020). Puglia, Michael ; Harkrader, James Collin. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-96. Full description at Econpapers || Download paper |
2021 | International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01. Full description at Econpapers || Download paper |
2021 | Defragmenting Markets: Evidence from Agency MBS. (2021). Vickery, James ; SONG, ZHAOGANG ; Liu, Haoyang. In: Staff Reports. RePEc:fip:fednsr:91312. Full description at Econpapers || Download paper |
2021 | Defragmenting Markets: Evidence from Agency MBS. (2021). Vickery, James ; SONG, ZHAOGANG ; Liu, Haoyang. In: Working Papers. RePEc:fip:fedpwp:92849. Full description at Econpapers || Download paper |
2021 | Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID. (2021). Demertzidis, Anastasios ; Jeleskovic, Vahidin. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:212-:d:550636. Full description at Econpapers || Download paper |
2020 | Importance of Proper Monetary Liquidity: Sustainable Development of the Housing and Stock Markets. (2020). Tsai, I-Chun ; I-Chun Tsai, ; Chiang, Ming-Chu . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:21:p:8989-:d:436897. Full description at Econpapers || Download paper |
2020 | A Study of the Relative Stock Market Performance of Companies Recognized for Supporting Gender Equality Policies and Practices. (2020). Kuzman, Boris ; Panait, Iulian ; Murgu, Valentin ; Niescu, Dan Costin ; Armeanu, Daniel Tefan ; Badea, Leonardo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:9:p:3558-:d:351110. Full description at Econpapers || Download paper |
2020 | How to build a cross-impact model from first principles: Theoretical requirements and empirical results. (2020). Benzaquen, Michael ; Mastromatteo, Iacopo ; Tomas, Mehdi. In: Working Papers. RePEc:hal:wpaper:hal-02567489. Full description at Econpapers || Download paper |
2021 | Cross impact in derivative markets. (2021). Mastromatteo, Iacopo ; Tomas, Mehdi ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-03378903. Full description at Econpapers || Download paper |
2020 | Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2020). Soegner, Leopold ; Reynolds, Julia ; Wagner, Martin. In: IHS Working Paper Series. RePEc:ihs:ihswps:17. Full description at Econpapers || Download paper |
2020 | Testing Financial Hierarchy Based on A PDQ-CRE Model. (2020). Wu, Wuqing ; Zhao, Yue ; Shi, Meng ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202011. Full description at Econpapers || Download paper |
2020 | Yield curves from different bond data sets. (2020). Diaz, Antonio ; Navarro, Eliseo ; Jareo, Francisco. In: Review of Derivatives Research. RePEc:kap:revdev:v:23:y:2020:i:2:d:10.1007_s11147-019-09162-z. Full description at Econpapers || Download paper |
2022 | The effect of housing boom on firm leverage evidence from China. (2022). Wang, Song ; Meng, Qingbin ; Xu, Zhan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01022-y. Full description at Econpapers || Download paper |
2020 | An empirical analysis of the Co-movement of Crude, Gold, Rupee-Dollar Exchange rate and Nifty 50 Stock Index during Sub-prime and Coronavirus crisis periods. (2020). Paliwal, Riya ; Shahani, Rakesh. In: MPRA Paper. RePEc:pra:mprapa:103568. Full description at Econpapers || Download paper |
2020 | Information Asymmetry and Insurance in Africa. (2020). Odhiambo, Nicholas ; Asongu, Simplice. In: MPRA Paper. RePEc:pra:mprapa:107136. Full description at Econpapers || Download paper |
2021 | (A)Synchronous Housing Markets of Global Cities. (2021). Kishor, Kundan N ; Bhatt, Vipul. In: MPRA Paper. RePEc:pra:mprapa:107175. Full description at Econpapers || Download paper |
2021 | Government Intervention through Informed Trading in Financial Markets. (2021). Wang, Gaowang ; Qiu, Zhigang ; Huang, Shao'An. In: MPRA Paper. RePEc:pra:mprapa:107783. Full description at Econpapers || Download paper |
2021 | Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets. (2021). Wagner, Martin ; Sogner, Leopold ; Reynolds, Julia. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:13:y:2021:i:2:p:105-146. Full description at Econpapers || Download paper |
2021 | A regional decomposition of US housing prices and volume: market dynamics and Portfolio diversification. (2021). Gabauer, David ; Chatziantoniou, Ioannis ; Antonakakis, Nikolaos. In: The Annals of Regional Science. RePEc:spr:anresc:v:66:y:2021:i:2:d:10.1007_s00168-020-01021-2. Full description at Econpapers || Download paper |
2020 | The Moses effect: can central banks really guide foreign exchange markets?. (2020). Roy Trivedi, Smita. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:6:d:10.1007_s00181-019-01671-y. Full description at Econpapers || Download paper |
2021 | Regime Shifts in the Behaviour of International Currency and Equity Markets: A Markov-Switching Analysis. (2021). Tuteja, Divya ; Dua, Pami. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-021-00273-9. Full description at Econpapers || Download paper |
2020 | Modeling of EURO STOXX 50 index price returns based on industrial production surprises: basic and machine learning approach. (2020). Sosidko, Aleksejus ; Remeikien, Rita ; Gasparnien, Ligita ; Raistenskis, Evaldas ; Vbrait, Vigita. In: Entrepreneurship and Sustainability Issues. RePEc:ssi:jouesi:v:8:y:2020:i:2:p:1305-1320. Full description at Econpapers || Download paper |
2020 | The impact of UK household overconfidence in public information on house prices. (2020). Shin, Jinho ; Cho, Youngha ; Hwang, Soosung. In: Journal of Property Research. RePEc:taf:jpropr:v:37:y:2020:i:4:p:360-389. Full description at Econpapers || Download paper |
2020 | Macro-Financial Spillovers. (2020). Yilmaz, Kamil ; Hallam, Mark ; Cotter, John. In: Working Papers. RePEc:ucd:wpaper:202005. Full description at Econpapers || Download paper |
2020 | Information asymmetry and insurance in Africa. (2020). Odhiambo, Nicholas ; Asongu, Simplice. In: Working Papers. RePEc:uza:wpaper:26639. Full description at Econpapers || Download paper |
2020 | A tale of two shocks: The dynamics of international real estate markets. (2020). Bekiros, Stelios ; Jayasekera, Ranadeva ; Ege, Oskar ; Uddin, Gazi Salah ; Dahlstrom, Amanda. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:1:p:3-27. Full description at Econpapers || Download paper |
2021 | The response of precious metal futures markets to unconventional monetary surprises in the presence of uncertainty. (2021). Chebbi, Tarek. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1897-1916. Full description at Econpapers || Download paper |
2022 | Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. (2022). Wang, Shixuan ; Gupta, Rangan ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2089-2109. Full description at Econpapers || Download paper |
2021 | Semiparametric estimation and variable selection for single?index copula models. (2021). Hafner, Christian ; Long, Wei ; Liu, Guannan ; Yang, Bingduo. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:36:y:2021:i:7:p:962-988. Full description at Econpapers || Download paper |
2020 | The dynamic impact of FX interventions on financial markets. (2020). Menkhoff, Lukas ; Stohr, Tobias ; Rieth, Malte. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2151. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2002 | Regime Shifts in Asian Equity and Real Estate Markets In: Real Estate Economics. [Full Text][Citation analysis] | article | 49 |
2014 | On the Price Comovement of U.S. Residential Real Estate Markets In: Real Estate Economics. [Full Text][Citation analysis] | article | 24 |
2009 | On the Volatility and Comovement of U.S. Financial Markets around Macroeconomic News Announcements In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 57 |
2020 | Government Intervention and Strategic Trading in the U.S. Treasury Market In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 1 |
2008 | Time-series and cross-sectional excess comovement in stock indexes In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 39 |
2007 | Informative trading or just costly noise? An analysis of Central Bank interventions In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 24 |
2008 | Updating expectations: An analysis of post-9/11 returns In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 7 |
2008 | The anatomy of financial crises: Evidence from the emerging ADR market In: Journal of International Economics. [Full Text][Citation analysis] | article | 15 |
2014 | Prospect Theory and market quality In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 10 |
2009 | The on-the-run liquidity phenomenon In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 41 |
2010 | Central bank intervention and the intraday process of price formation in the currency markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 18 |
2002 | Uncertainty of trading rules in currency markets: an application of non-parametric bootstrapping In: Journal of Multinational Financial Management. [Full Text][Citation analysis] | article | 2 |
2006 | Informed and strategic order flow in the bond markets In: International Finance Discussion Papers. [Full Text][Citation analysis] | paper | 93 |
2007 | Informed and Strategic Order Flow in the Bond Markets.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | article | |
2021 | Non-Standard Errors In: Working Paper Series, Social and Economic Sciences. [Full Text][Citation analysis] | paper | 0 |
2021 | Non-Standard Errors.(2021) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Strategic Cross-Trading in the U.S. Stock Market In: Review of Finance. [Full Text][Citation analysis] | article | 13 |
2007 | Imperfect Competition, Information Heterogeneity, and Financial Contagion In: Review of Financial Studies. [Full Text][Citation analysis] | article | 31 |
2009 | Does Asymmetric Information Drive Capital Structure Decisions? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 123 |
2014 | Financial Market Dislocations In: Review of Financial Studies. [Full Text][Citation analysis] | article | 26 |
2018 | Government Intervention and Arbitrage In: Review of Financial Studies. [Full Text][Citation analysis] | article | 2 |
2001 | Views: Use and abuse In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
2020 | Excess mortality from COVID-19: a commentary on the Italian experience In: International Journal of Public Health. [Full Text][Citation analysis] | article | 1 |
2005 | An Examination of the Asian Crisis: Regime Shifts in Currency and Equity Markets In: The Journal of Business. [Full Text][Citation analysis] | article | 25 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team